COVID-19 pandemic news and stock market reaction during the onset of the crisis: evidence from high-frequency data

Using 30-minute tick returns, we examine the impact of changes in the number of COVID-19 news on eight different stock markets during the initial two months of the coronavirus crisis 2020. We do not find evidence that stock returns are sensitive to the changes in the number of COVID-19 news. However, there is strong evidence that changes in COVID-19 news increase stock market volatility in European markets. The findings also suggest that a substantial part of market uncertainty can be explained by changes in the number of COVID-19 news. Our results are also robust to changes in the time intervals.